When you tested it with 5v, did you have a resistor in series with it? Do you have one in series with it now? Using an LED without a series resistor can easily burn out an LED. I had one fail get trashed because of noise on the voltage adjust knob of the power supply as I was slowly cranking the voltage up... I had it at the right voltage, but as I removed my hand, it edged up 0.1v and the LED got real bright for a split second and then failed.
Are the connections secure? Try wiggling the wires, make sure they're not loose. Sometimes cheap clone arduinos and cheap crappy male dupont jumpers don't make a reliable connection.